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Value Allocations for May 2019 (Final)
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Momentum Allocations for May 2019 (Final)
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Combined Simple Value-Momentum Asset Class ETF Strategy

Posted in Fundamental Valuation, Momentum Investing, Strategic Allocation

The Value Strategy tracks the performance of two versions of the “Simple Asset Class ETF Value Strategy”  (SACEVS), which seeks diversification across a small set of asset class exchange-traded funds (ETF) plus a monthly tactical edge from potential undervaluation of term, credit and equity risk premiums relative to historical averages. The two versions are: (1) most undervalued premium (Best Value); and, (2) weighting all undervalued premiums according to respective degree of undervaluation (Weighted).

The Momentum Strategy tracks the performance of three versions of the “Simple Asset Class ETF Momentum Strategy” (SACEMS), which seeks strategic diversification across asset classes via ETFs plus a monthly tactical edge from intermediate-term momentum. The three versions, all based on total ETF returns over recent months, are: (1) top one of nine ETFs (Top 1); (2) equally weighted top two (EW Top 2); and, (3) equally weighted top three (EW Top 3).

As of today, we commence tracking performance of Combined Value-Momentum Strategy (SACEVS-SACEMS), seeking diversification across asset classes and two widely accepted anomalies. This strategy holds SACEVS Best Value and SACEMS EW Top 3 with equal weights and end-of-month rebalancing coincident with SACEVS and SACEMS portfolio reformations.

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